Portfolio selection with inflation-linked bonds and indexation lags
Year of publication: |
2019
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Authors: | Li, Kai |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 107.2019, p. 1-17
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Subject: | Bond portfolio selection | Indexation lags | Inflation-linked bond | Intertemporal hedging | Piecewise dynamic programming approach | Stochastic delay differential equations | Portfolio-Management | Portfolio selection | Indexanleihe | Index-linked bond | Theorie | Theory | Indexbindung | Indexation | Hedging | Lag-Modell | Lag model | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Inflation | Dynamische Optimierung | Dynamic programming | Analysis | Mathematical analysis |
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